Methodology

Kintechs Reference Portfolio

Portfolio-level metrics are computed on a model allocation that reflects a typical treasury holding of digital assets.

Allocation

50% BTC, 30% ETH, 20% USD stablecoins

Rebalancing

Daily, to constant weights

Prices

Coinbase daily closes, BTC-USD and ETH-USD

Stablecoins

Held at par in the return series; peg risk is measured separately

Value at Risk

VaR estimates the loss the portfolio should not exceed on a given horizon at 99% confidence. Two methods run side by side: the gap between them is information about tail risk and regime change.

Confidence

99%

Historical

1st percentile of daily portfolio returns over the previous 250 trading days, linear interpolation

EWMA

RiskMetrics volatility with λ = 0.94, zero mean, z = 2.326

7-day

1-day VaR scaled by √7

Backtest

A breach is a day whose realised loss exceeds the VaR forecast made with data up to the previous close; compared with the 1% expected rate over 365 days

Limitations. Both methods understate losses when the volatility regime breaks, and square-root scaling assumes independent daily returns. The liquidity module covers the part of the loss that comes from exiting a position.

Volatility and correlation

Realised vol

Sample standard deviation of daily log returns over 30 and 90 days, annualised with √365 (digital assets trade every day)

Correlation

Pearson correlation of daily log returns over 90 days, BTC, ETH and SOL

Performance

Close-to-close price change over 7, 30, 90 and 365 days

Liquidity

A position is worth what it can be sold for. Kintechs prices market sells of $250k to $20m against the live BTC order books of four venues.

Venues

Coinbase (BTC-USD), Kraken (XBT-USD), OKX (BTC-USDT), Binance (BTC-USDT)

Slippage

The sell order consumes bids from the best price down; slippage is the gap between mid and the volume-weighted fill, in basis points

Consolidated

Bids from all venues are expressed relative to each venue's own mid, merged into one book and walked together; this removes the USD/USDT quote difference

Depth

USD value of bids and asks within 1% of mid; imbalance is the bid share of that depth

Spread

Best ask minus best bid, in basis points of mid

Limitations. Books are a snapshot at calculation time and change faster than any refresh cycle. Venues publish a limited number of levels, so very large orders can exceed the visible book.

Derivatives

Contracts

BTC, ETH and SOL perpetual futures on Kraken Futures

Funding

Hourly relative funding rate averaged per day and annualised (× 24 × 365); charts show a 7-day average

Basis

Mark price against index price, in basis points

Open interest

Open contracts valued at mark price

Stablecoins

Universe

All USD-pegged stablecoins tracked by DefiLlama

Concentration

Herfindahl-Hirschman index of issuer supply shares (0 to 10 000; above 2 500 is highly concentrated)

Chains

Circulating supply aggregated by blockchain

Peg

Market price against $1.00, in basis points

Exchange concentration

Reserves

Assets in wallets disclosed by centralised exchanges, as aggregated by DefiLlama

Share and HHI

Share of the reporting set per exchange; HHI across all reporting exchanges

Change

7-day change in reported reserves, which includes both flows and price moves

Limitations. Only exchanges that disclose wallets are covered, and disclosed wallets may not represent all customer assets.

Data and schedule

Spot prices

Coinbase Exchange, daily candles

Order books

Coinbase, Kraken, OKX, Binance public market data

Derivatives

Kraken Futures tickers and historical funding

Supply, reserves

DefiLlama stablecoin and CEX transparency data

Schedule

Recalculated daily; the weekly brief is generated from the latest run

Resilience

A source that fails keeps its last good values; see the status page

Stack

Node.js data pipeline, static delivery on Cloudflare